Nowcasting Norway

Matteo Luciani and Lorenzo Ricci

Working Papers ECARES from ULB -- Universite Libre de Bruxelles

Abstract: We produce predictions of the previous, the current, and the next quarter of NorwegianGDP. To this end, we estimate a Bayesian Dynamic Factor model on a panel of 14variables (all followed closely by market operators) ranging from 1990 to 2011. By meansof a real time forecasting exercise we show that the Bayesian Dynamic Factor Model outperformsa standard benchmark model, while it performs equally well than the BloombergSurvey. Additionally, we use our model to produce annual GDP growth rate nowcast. Weshow that our annual nowcast outperform the Norges Bank’s projections of current yearGDP.

Keywords: real-time forecasting; bayesian factor model; nowcasting (search for similar items in EconPapers)
JEL-codes: C32 C53 E37 (search for similar items in EconPapers)
Pages: 17 p.
Date: 2013-02
New Economics Papers: this item is included in nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

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Journal Article: Nowcasting Norway (2014)
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